Verbeek, Marno; Baquero, G.; ter Horst, ter Horst, J.R. - Erasmus Research Institute of Management (ERIM), … - 2002
Hedge funds databases are typically subject to high attrition rates because of fund termination and self-selection. Even when all funds are included up to their last available return, one cannot prevent that ex post conditioning biases a.ect standard estimates of performance persistence. In this...